Robust utility maximization with unbounded random endowment

DOI10.1007/978-4-431-53883-7_7zbMath1236.91150OpenAlexW13999153MaRDI QIDQ3000047

Keita Owari

Publication date: 18 May 2011

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-53883-7_7

zbMATH Keywords

robust utility maximizationconvex duality methodutility indifference valuation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items (5)

Robust expected utility maximization with medial limits ⋮ On admissible strategies in robust utility maximization ⋮ Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption ⋮ Exponential utility maximization under model uncertainty for unbounded endowments ⋮ The robust Merton problem of an ambiguity averse investor

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